James Dyer

University of Texas at Austin

2317 Speedway

Austin, TX 78712

United States

SCHOLARLY PAPERS

7

DOWNLOADS

228

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (7)

1.

Valuing Real Options in the Volatile Real World - A Generalized Implied Binomial Tree Approach

Number of pages: 38 Posted: 05 Feb 2018
Seiji Harikae, Tianyang Wang and James Dyer
University of Texas at Austin, Colorado State University - Department of Finance & Real Estate and University of Texas at Austin
Downloads 67 (339,568)

Abstract:

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Extreme Downside Risk, Multifactor Real Options; Implied Binomial Trees; Simulation

2.

Sensitivity Analysis of Model Input Dependencies Using Copulas

Number of pages: 34 Posted: 21 Oct 2015 Last Revised: 22 Jan 2016
Tianyang Wang, James Dyer and Warren Hahn
Colorado State University - Department of Finance & Real Estate, University of Texas at Austin and University of Texas at Austin - Red McCombs School of Business
Downloads 53 (381,208)

Abstract:

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Decision Analysis, Sensitivity Analysis, Correlations, Dependence, Copulas

3.

Updating Inventories of Substitutable Resources in Response to Forecast-Updates

Production and Operations Management, Forthcoming
Number of pages: 26 Posted: 21 Jun 2013 Last Revised: 14 Nov 2013
Saurabh Bansal and James Dyer
Pennsylvania State University - Smeal College of Business and University of Texas at Austin
Downloads 50 (391,172)

Abstract:

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substitutable resources, forecast updates, inventory updates, structural properties of multi-product newsvendor problems

4.

Modeling Correlated Discrete Uncertainties in Event Trees with Copulas

Number of pages: 33 Posted: 18 Apr 2015
Colorado State University - Department of Finance & Real Estate, University of Texas at Austin and University of Texas at Austin - Red McCombs School of Business
Downloads 31 (466,012)

Abstract:

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Probabilistic risk analysis, decision analysis, event trees, discrete uncertainties, dependence, copulas

5.

Solution to a Class of Two-stage Stochastic Programs with Multivariate Normal Uncertainty

Number of pages: 25 Posted: 21 Mar 2011 Last Revised: 16 Dec 2013
Saurabh Bansal and James Dyer
Pennsylvania State University - Smeal College of Business and University of Texas at Austin
Downloads 27 (486,051)
Citation 2

Abstract:

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Operational Flexibility, Stochastic Programming

6.

Valuing Multifactor Real Options Using an Implied Binomial Tree

Wang, T., & Dyer, J. S. (2010). Valuing multifactor real options using an implied binomial tree. Decision Analysis, 7(2), 185-195.
Posted: 20 Apr 2015
Tianyang Wang and James Dyer
Colorado State University - Department of Finance & Real Estate and University of Texas at Austin

Abstract:

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real options; implied binomial tree; multifactor; simulation

7.

A Copulas-Based Approach to Modeling Dependence in Decision Trees

Tianyang, W., & Dyer, J. S. (2012). A Copulas-Based Approach to Modeling Dependence in Decision Trees. Operations research, (1), 225-242.
Posted: 20 Apr 2015
Tianyang Wang and James Dyer
Colorado State University - Department of Finance & Real Estate and University of Texas at Austin

Abstract:

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correlation; copulas; multivariate decision and risk analysis